Microsoft has helpfully (????) published a
Knowledge Base article on how to completely uninstall Linux and install XP.
You probably need to delete every Linux partition on your hard drive with a partition editor before the Windows installer will work. (Didn't you get a blue screen with an error message on it? In my limited experience, the installer will blue screen if it finds your hard disk is formatted, but none of the partitions are formats Windows can understand.)
Ironically, you can use a live Linux CD such as
Knoppix to perform this task. (There's an easy-to-use GUI-based program named "QTParted" included with Knoppix, as is the command-line "fdisk".)